Estimating efficiency of stock return with interval data

© Springer International Publishing AG 2017. Existing studies on capital asset pricing model (CAPM) have basically focused on point data which may not concern about the variability and uncertainty in the data. Hence, this paper suggests the approach that gains more efficiency, that is, the interval...

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Main Authors:	Tibprasorn P., Khiewngamdee C., Yamaka W., Sriboonchitta S.
Format:	Book Series
Published:	2017
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012906531&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40755
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-40755
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spelling	th-cmuir.6653943832-407552017-09-28T04:11:14Z Estimating efficiency of stock return with interval data Tibprasorn P. Khiewngamdee C. Yamaka W. Sriboonchitta S. © Springer International Publishing AG 2017. Existing studies on capital asset pricing model (CAPM) have basically focused on point data which may not concern about the variability and uncertainty in the data. Hence, this paper suggests the approach that gains more efficiency, that is, the interval data in CAPM analysis. The interval data is applied to the copula-based stochastic frontier model to obtain the return efficiency. This approach has proved its efficiency through application in three stock prices: Apple, Facebook and Google. 2017-09-28T04:11:14Z 2017-09-28T04:11:14Z Book Series 1860949X 2-s2.0-85012906531 10.1007/978-3-319-50742-2_41 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012906531&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40755
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
description	© Springer International Publishing AG 2017. Existing studies on capital asset pricing model (CAPM) have basically focused on point data which may not concern about the variability and uncertainty in the data. Hence, this paper suggests the approach that gains more efficiency, that is, the interval data in CAPM analysis. The interval data is applied to the copula-based stochastic frontier model to obtain the return efficiency. This approach has proved its efficiency through application in three stock prices: Apple, Facebook and Google.
format	Book Series
author	Tibprasorn P. Khiewngamdee C. Yamaka W. Sriboonchitta S.
spellingShingle	Tibprasorn P. Khiewngamdee C. Yamaka W. Sriboonchitta S. Estimating efficiency of stock return with interval data
author_facet	Tibprasorn P. Khiewngamdee C. Yamaka W. Sriboonchitta S.
author_sort	Tibprasorn P.
title	Estimating efficiency of stock return with interval data
title_short	Estimating efficiency of stock return with interval data
title_full	Estimating efficiency of stock return with interval data
title_fullStr	Estimating efficiency of stock return with interval data
title_full_unstemmed	Estimating efficiency of stock return with interval data
title_sort	estimating efficiency of stock return with interval data
publishDate	2017
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012906531&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/40755
_version_	1681421876055769088

Estimating efficiency of stock return with interval data

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